“We’re not in bear market territory, and we’re not really in a broad-based correction. But investors seem to be struggling to find that next great investment theme.”

I wrote those words this past June, when we were in the midst of the “taper tantrum.” My, how little things change in five months. Now in mid-November — and with bond yields rising yet again due to Fed tapering fears — investors are looking for that next great investment theme … and mostly coming up short.

U.S. large-cap stocks continue to drift higher, but small- and mid-caps are lagging, and the sectors that showed the most strength in the early fall — such as Europe and emerging markets — are in correction mode. It’s a tough market to make sense of.

During times like these, it can be helpful to look over the shoulders of some of the best and brightest managers in the business to see how they are allocating their capital. I make a habit out of digging through the trading moves of managers I admire.

Investors looking for a one-stop “buy and forget” guru-following strategy now have a couple of exchange-traded funds to choose from.

In June, I compared the Global X Top Guru Holdings Index ETF (GURU) to its chief competitor, the AlphaClone Alternative Alpha ETF (ALFA). Today, I’m going to throw a new index competitor into the mix: the iBillionaire Index. An iBillionaire Index ETF is in the works as well, though the sponsor did not have a specific launch date.

Let’s take a quick peek at each of these guru-following strategies and highlight their differences. At first glance, you might think the strategies are interchangeable and that there is no value in adding another “me too” ETF. But the strategies each have unique features that can make each better than the others under the right set of market conditions.

ALFA was the first guru ETF to come to market, beating GURU by about a month. It also happens to be the most complex of the three. The AlphaClone index ranks hedge fund managers by a proprietary system and equally weights their top holdings. There is an allowance for overweighting if a stock has multiple guru owners. For example, a stock held by twice the number of managers would have twice the weighting in the index.

ALFA has one other noteworthy feature: It has a “dynamic hedging” mechanism that allows it to be up to 50% short during a prolonged market downturn. In ALFA’s case, the ETF will shift half of the portfolio into an inverse S&P 500 fund when the S&P ends a month below its 200-day moving average.

GURU, which is based on the Solactive Top Guru Holdings Index, runs a simpler strategy. GURU’s portfolio is simply an equally weighted mix of the “high conviction” picks of the hedge fund managers that Global X follows. Only managers that run concentrated portfolios are considered, but beyond that, there really is no other criteria.

The iBillionaire Index takes a slightly different approach. To start, it limited its pool of gurus to “financial billionaires,” or money managers who have amassed personal fortunes of over a billion dollars.

But secondly — and most importantly — its holdings are limited to constituents of the S&P 500. Per iBillionaire,

“It is composed of the top 30 large-cap equities listed on the S&P 500 in which financial billionaires have allocated the most funds, providing ample trading liquidity, a well-known benchmark, and better results to equity indexation than capitalization-weighted indices. Devised from 13F filings, the iBillionaire Index provides investors an efficient and effective way to follow the smart money. In essence, the index works as though one gathered a group of billionaires and asked them to come to a consensus as to which S&P 500 stocks are the best bets.”

With that said, which guru-following ETF strategy is best?

It’s really going to depend on the kind of market you’re in and what you’re using as a benchmark. ALFA’s ability to go short is a tremendous asset in a sustained bear market and will almost certainly cause it to outperform GURU and iBillionaire’s index. But in a sideways market or a volatile zig-zagging market (not exactly technical terms, but bear with me), it’s going to get whipsawed. It’s the curse of all trend-following models — they only work in a trending market. And in a long bull market, it won’t have any effect at all.

ALFA also has a small market-cap bias; Morningstar classifies it as a “mid-cap growth fund.” GURU is considered a “large-cap” growth fund by Morningstar. iBillionaire — when its ETF is released — will likely have an even greater large-cap bias, as its mandate limits it to companies within the S&P 500.

I’ll summarize like this: If you think we might see a prolonged bear market, ALFA is the ETF for you; if not, GURU or an ETF based on the iBillionaire Index would likely be your better option.

Right now, this is all conjecture based on the limited facts that are available. iBillionaire’s ETF is not on the market yet, and GURU and ALFA both have very short trading histories. So I cannot tell you how any of these strategies would have performed under real-world conditions other than by using sponsor-provided backtested data. This is something I plan to revisit as real trading history data becomes available with time.

In any event, guru ETFs have another beneficial use. Rather than use them as “one stop shops,” you can use the ETF holdings as a starting point for futher research. You may find some real gems that are worth holding as individual stock positions.

Charles Lewis Sizemore, CFA, is the chief investment officer of the investment firm Sizemore Capital Management. As of this writing, he did not hold a position in any of the aforementioned securities. Click here to receive his FREE 8-part investing series that will not only show you which sectors will soar, but also which stocks will deliver the highest returns. This series starts Nov. 5 and includes a FREE copy of his 2014 Macro Trend Profit Report.